IWM Options History — March 2015 In March 2015, IWM traded between $120.20 and $125.97. ATM implied volatility averaged 15.3%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.7% (HV 20d: 11.6%). Max pain ranged from $120.00 to $124.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.18.
Notable Days 2015-03-20 : Highest Volume — 843,403 contracts2015-03-25 : Largest IV spike — 24.9% change2015-03-26 : Highest IV Rank — 31.4%2015-03-10 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $123.30 $120.20 $125.97 $123.58 $124.45 Max Pain $121.91 $120.00 $124.00 $120.00 $123.50 ATM IV 15.3% 12.7% 17.5% 13.9% 15.9% Expected Move 4.4% 3.6% 5.1% 3.9% 4.5% HV 20d 11.6% 9.1% 15.9% 10.8% 15.8% HV 60d 15.9% 14.9% 16.8% 16.8% 16.1% IV Rank 15.8% 0.0% 31.4% 0.0% 25.5% IV Percentile 18.9% 0.0% 51.6% 0.0% 23.4% Term Structure 0.3% -0.1% 0.8% 0.8% 0.3% VWIV 16.9% 14.4% 18.8% 15.3% 17.1% Skew 25d 5.0% 4.3% 5.4% 4.3% 5.2% Skew 10d 9.5% 8.7% 10.6% 8.7% 10.6% Call IV 25d 13.4% 11.0% 15.1% 12.3% 13.7% Put IV 25d 18.4% 15.5% 20.5% 16.7% 18.9% Bid-Ask Spread % 2.08 1.60 2.69 1.67 1.94 Gamma HHI 0.06 0.05 0.19 0.06 0.05 Net GEX -495.7M -1.37B 271.5M -149.1M -848.3M Net DEX 897.6M -6.24B 7.85B -1.95B 2.79B Net VEX -52.0M -59.4M -46.8M -46.8M -56.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.18 1.32 3.37 3.37 1.56 Total Volume 486,078.136 206,347 843,403 445,196 411,422 Total OI 4,936,517.773 4,291,018 5,764,019 4,459,927 4,927,186
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-03-02 $123.58 $120.00 13.9% 3.9% 10.8% 0.0% 15.3% 4.3% 0.8% -149.1M -1.95B -46.8M 3.37 1.67 101,869 343,327 1,102,329 3,357,598 2015-03-03 $122.80 $120.00 14.9% 4.2% 11.1% 8.6% 15.9% 4.9% 0.2% -386.5M -76.2M -50.5M 1.96 1.61 130,697 255,907 1,141,718 3,532,475 2015-03-04 $122.35 $120.00 15.4% 4.3% 9.6% 13.2% 16.6% 4.9% 0.1% -521.1M 909.3M -52.9M 2.64 1.60 104,591 275,992 1,160,063 3,616,539 2015-03-05 $122.77 $121.00 14.7% 4.4% 9.1% 7.2% 17.1% 4.8% 0.2% -403.2M -29.6M -51.3M 2.31 2.33 98,288 227,121 1,174,309 3,637,731 2015-03-06 $121.10 $121.00 16.6% 4.8% 9.2% 23.2% 18.3% 5.1% -0.1% -764.6M 3.59B -54.0M 2.08 2.35 188,515 391,377 1,185,900 3,707,400 2015-03-09 $121.70 $121.00 16.2% 4.7% 9.3% 20.5% 18.2% 5.3% 0.1% -529.6M 1.88B -52.0M 2.70 1.84 55,812 150,535 1,158,656 3,671,126 2015-03-10 $120.20 $121.00 17.5% 5.1% 10.0% 31.4% 18.2% 5.4% 0.3% -854.8M 5.04B -53.8M 2.66 2.12 151,594 403,788 1,170,963 3,739,248 2015-03-11 $121.02 $121.00 16.9% 4.9% 10.1% 26.5% 18.8% 5.2% 0.2% -708.3M 3.38B -52.7M 1.83 2.18 105,470 193,158 1,180,668 3,783,546 2015-03-12 $122.97 $121.00 15.9% 4.7% 11.4% 17.3% 17.8% 5.2% 0.4% -179.7M -1.00B -50.5M 1.97 1.96 169,444 334,054 1,219,408 3,816,826 2015-03-13 $122.55 $121.00 16.3% 4.7% 10.7% 21.4% 18.3% 5.0% -0.0% -146.1M -68.7M -52.3M 2.26 2.21 154,163 348,188 1,271,802 3,925,929 2015-03-16 $123.14 $121.00 16.5% 4.7% 10.6% 22.5% 17.7% 5.3% 0.1% -242.8M -834.1M -50.2M 1.32 1.85 172,007 226,588 1,230,329 3,885,977 2015-03-17 $123.69 $122.00 15.9% 4.6% 10.7% 17.2% 18.3% 5.2% 0.4% -126.0M -1.94B -49.5M 2.22 1.96 137,089 304,228 1,279,113 3,946,860 2015-03-18 $124.80 $122.00 14.2% 4.1% 11.1% 2.4% 16.8% 5.0% 0.3% 70.8M -4.23B -47.7M 1.85 2.21 247,686 458,006 1,296,433 4,090,822 2015-03-19 $124.99 $122.00 13.7% 3.9% 11.1% 0.0% 15.7% 4.9% 0.4% 228.4M -4.36B -48.0M 2.29 1.98 161,123 368,456 1,333,516 4,254,343 2015-03-20 $125.97 $122.00 12.7% 3.6% 11.3% 0.0% 14.4% 4.5% 0.6% 271.5M -6.24B -47.0M 1.64 2.65 319,653 523,750 1,366,524 4,397,495 2015-03-23 $125.86 $123.00 12.8% 3.6% 11.4% 0.8% 14.6% 4.5% 0.7% -418.5M 166.8M -49.1M 2.72 2.45 79,791 217,135 896,291 3,394,727 2015-03-24 $125.93 $124.00 13.0% 3.6% 11.4% 2.5% 14.7% 4.7% 0.6% -492.4M 217.1M -48.5M 2.15 2.69 187,719 402,778 904,977 3,477,679 2015-03-25 $122.62 $124.00 16.2% 4.7% 15.1% 28.3% 16.3% 5.1% 0.3% -1.30B 6.89B -57.2M 2.32 2.06 245,858 570,445 923,635 3,701,346 2015-03-26 $122.25 $124.00 16.6% 4.8% 15.0% 31.4% 16.9% 5.0% 0.2% -1.37B 7.85B -59.4M 1.81 1.96 216,051 390,464 1,055,052 3,867,375 2015-03-27 $123.03 $124.00 16.2% 4.6% 15.2% 27.8% 17.0% 4.9% 0.3% -1.32B 5.91B -58.9M 1.67 2.28 164,983 275,737 1,085,280 3,892,040 2015-03-30 $124.87 $123.50 15.2% 4.3% 15.9% 20.0% 17.7% 5.0% 0.3% -712.1M 1.85B -55.3M 2.57 1.86 120,124 308,736 1,051,248 3,790,909 2015-03-31 $124.45 $123.50 15.9% 4.5% 15.8% 25.5% 17.1% 5.2% 0.3% -848.3M 2.79B -56.7M 1.56 1.94 160,938 250,484 1,056,242 3,870,944
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